output
20022011
most citedNon-Markovian effects on the dynamics of entanglement

835 citations

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Showing physics.soc-phShow all

5 papers · 1 filter

physics.soc-ph2007

Diffusive behavior and the modeling of characteristic times in limit order executions

Zoltan Eisler, Janos Kertesz, Fabrizio Lillo +1

We present an empirical study of the first passage time (FPT) of order book prices needed to observe a prescribed price change Delta, the time to fill (TTF) for executed limit orde…

physics.soc-ph2006★ 35 cited

Limit order placement as an utility maximization problem and the origin of power law distribution of limit order prices

Fabrizio Lillo

I consider the problem of the optimal limit order price of a financial asset in the framework of the maximization of the utility function of the investor. The analytical solution o…

physics.soc-ph2006★ 105 cited

Hitting Time Distributions in Financial Markets

Davide Valenti, Bernardo Spagnolo, Giovanni Bonanno

We analyze the hitting time distributions of stock price returns in different time windows, characterized by different levels of noise present in the market. The study has been per…

physics.soc-ph2006★ 146 cited

Spanning Trees and bootstrap reliability estimation in correlation based networks

M. Tumminello, C. Coronnello, F. Lillo +2

We introduce a new technique to associate a spanning tree to the average linkage cluster analysis. We term this tree as the Average Linkage Minimum Spanning Tree. We also introduce…

physics.soc-ph2006★ 206 cited

Correlation based networks of equity returns sampled at different time horizons

M. Tumminello, T. Di Matteo, T. Aste +1

We investigate the planar maximally filtered graphs of the portfolio of the 300 most capitalized stocks traded at the New York Stock Exchange during the time period 2001-2003. Topo…